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Modelling mortality: are we heading in the right direction?

O’hare, Colin; Li, Youwei

Authors

Colin O’hare



Abstract

Predicting life expectancy has become of upmost importance in society. Pension providers, insurance companies, government bodies and individuals in the developed world have a vested interest in understanding how long people will live for. This desire to better understand life expectancy has resulted in an explosion of stochastic mortality models many of which identify linear trends in mortality rates by time. In making use of such models for forecasting purposes, we rely on the assumption that the direction of the linear trend (determined from the data used for fitting purposes) will not change in the future, recent literature has started to question this assumption. In this article, we carry out a comprehensive investigation of these types of models using male and female data from 30 countries and using the theory of structural breaks to identify changes in the extracted trends by time. We find that structural breaks are present in a substantial number of cases, that they are more prevalent in male data than in female data, that the introduction of additional period factors into the model reduces their presence, and that allowing for changes in the trend improves the fit and forecast substantially.

Journal Article Type Article
Publication Date Jan 8, 2017
Journal Applied Economics
Print ISSN 0003-6846
Electronic ISSN 1466-4283
Publisher Taylor & Francis (Routledge)
Peer Reviewed Peer Reviewed
Volume 49
Issue 2
Pages 170-187
APA6 Citation O’hare, C., & Li, Y. (2017). Modelling mortality: are we heading in the right direction?. Applied economics, 49(2), 170-187. https://doi.org/10.1080/00036846.2016.1192278
DOI https://doi.org/10.1080/00036846.2016.1192278
Keywords Mortality; Stochastic models; Structural breaks; Forecasting
Publisher URL https://www.tandfonline.com/doi/abs/10.1080/00036846.2016.1192278
Related Public URLs https://pureadmin.qub.ac.uk/ws/portalfiles/portal/37666343/structural_breaks_international_OL_for_AE.pdf
Additional Information Peer Review Statement: The publishing and review policy for this title is described in its Aims & Scope.; Aim & Scope: http://www.tandfonline....cope&journalCode=raec20
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